Computational Management Science

, Volume 15, Issue 1, pp 33–53 | Cite as

The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market

  • Paolo BaruccaEmail author
  • Fabrizio Lillo
Original Paper


The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stochastic Block Model to investigate and perform a model selection among several possible two block organizations of the network: these include bipartite, core-periphery, and modular structures. We apply our method to the e-MID interbank market in the period 2010–2014 and we show that in normal conditions the most likely network organization is a bipartite structure. In exceptional conditions, such as after LTRO, one of the most important unconventional measures by ECB at the beginning of 2012, the most likely structure becomes a random one and only in 2014 the e-MID market went back to a normal bipartite organization. By investigating the strategy of individual banks, we explore possible explanations and we show that the disappearance of many lending banks and the strategy switch of a very small set of banks from borrower to lender is likely at the origin of this structural change.


Financial networks Core-periphery Bipartite networks Community detection Money markets 



Authors acknowledge partial support by the grant SNS13LILLB ”Systemic risk in financial markets across time scales”. This work is supported by the European Communitys H2020 Program under the scheme INFRAIA-1-2014-2015: Research Infrastructures, grant agreement #654024 SoBigData: Social Mining and Big Data Ecosystem ( Authors also thanks Fabio Caccioli, Thomas Lux, and Daniele Tantari for useful discussions.


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Copyright information

© Springer-Verlag GmbH Germany 2017

Authors and Affiliations

  1. 1.Scuola Normale SuperiorePisaItaly
  2. 2.University of ZurichZurichSwitzerland
  3. 3.London Institute for Mathematical SciencesLondonUK
  4. 4.QUANTLabPisaItaly
  5. 5.Department of MathematicsUniversity of BolognaBolognaItaly

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